Alex Gurvich

You are correct about Ben Graham's definition of intrinsic value, I very much subscribe to his perspective and definition as well.

In case of pricing the ETF, definition on Yahoo might be somewhat different (i.e. Internal Value, etc.), but my meaning and the sprit in which I use that definition is actually similar to Ben Graham. I refer to IV as the "actual", "real", "intrinsic", "internal" value of the financial instrument.

For the ETF, I have actually created a spreadsheet that incorporates the ETF's underlying assets (its holdings) and the number of shares for each holding and I get real time pricing for each underlying asset/holding, then I construct the IV price for the ETF in real time.

Does this help answer your question? I would be happy to discuss further.

Hi Jon Murray,Don't understand the question, could you elaborate? The returns are calculated at the end of the month, is this what you are asking?Thanks, AlexSincerely, Alex GurvichAGurvich@TheRockledgeG...http://bit.ly/I87y9N

MColasanti,Thanks for that, interestingly enough, I am working on exactly the same idea, but also with added complexity of correlations.Do you care to share more ideas (privately) if you like? My email is below.Thank you.Sincerely, Alex GurvichAGurvich@TheRockledgeG...http://bit.ly/I87y9N

Hi DanVee,1) Yes, I have tested several periods and actually found that the last six months brings higher returns. Going forward I intend to publish back tested results for both the six and twelve months.2) I did not because I would rather not use these products for this strategy. If you think you want to spice up the returns, I would rather have double leverage on the SPDRs, rather than the 2x products.3) That's a really good thought. In my firm, we are actually running a client portfolio that is a version of this idea. Email me directly if you want to learn more.Sincerely, Alex GurvichAGurvich@TheRockledgeG...http://bit.ly/I87y9N

Hi Roger Knights,Sorry for the confusion. What I mean is that the first possible calculation of the last twelve months would end December 1999, as these SPDRs started trading at the end of 1998, so that means I could have made the first investment twelve months after the SPDRs were launched. Does this make sense?Sincerely, Alex GurvichAGurvich@TheRockledgeG...http://bit.ly/I87y9N

Hi remurraymd,How did you pick those five stocks? Your results are good, but I guess the numbers would change depending on the stock you pick. Holding the same stocks for five years covers several business cycles and I would guess they would not provide the same dividends and thus not produce the same numbers. I would be interested to hear your thoughts on this.Regards, Alex GurvichAGurvich@TheRockledgeG...http://bit.ly/I87y9N

Thanks tornillo57,I actually ran 3, 6, and 9 months periods and the 6 months model performed better by about 6 points. The 3 and 9 months period were about the same.Interesting idea about the "bond sector", can you elaborate and I can run a back test on that?Thanks, AlexAGurvich@TheRockledgeG...

I don't think it's a good idea for investors, maybe for active day traders.

First of all, as the Old Trader (below) said, you "best have a cast iron stomach, nerves of steel, and ice water for blood" -- meaning that this is not for regular investors, because the markets and the ETF would move too fast and too often to be of any coherent long term value. Second, the leverage for these ETFs and the cost eats away at potential gains and magnifies losses.

This shift towards increase in allocation to alternatives is what I hear more and more from our clients and from the advisors and investors we speak with. At least for the near future, a wise investor should focus more on asset allocation than on picking individual stocks. As long as market correlations and volatility stay high (or higher than historical averages), this will hold.

BHA is strong in analytics, what kind of numbers/percentages do you see investors allocate to alternative strategies.